<t>Hi all,I have started working on Credit Index Options and am trying to implement the Credit Index Option pricer from Bloomberg in Excel. I have tried to attach the brief description file to this post but apparently it got denied...Basically, it is assumed that the Index spread follows a lognormal...

Hi all(sorry for digging up old threads) but quick question for wileyswhow did you come up with your recurrence relation? Easy to prove manually that it works fine for small n; but I have issues proving it for a general "n"Best,Hotone

Hi,In case of an unwind yes, it is a sale to close. In case of an assignment, there is a novation process and if that's consented by the three parties then it is a sale to close. Otherwise, you are left with the 2 positions (the initial buy, and the sell is seen as a new trade).

<t>Here is the quick and dirty answer: your trader is looking at his MtM on a daily basis, thus he assumes that PV01 doesn't change that much on a day-to-day basis and he relies on his Back-Office to compute his true PnL at the end-of-day (imagine if he was to wait for all the PV01 to be computed be...

No worries. On Radian I still can't find anything there. Maybe later in the day when the US opens. MarkIt is still saying 40% recovery though.

I never said the recovery on CFC was at 50% or 60% just different from 40%On Rescap yes, the recovery market is 55%/60%On radian, I might have made a mistake there as I can't find any runs.

Pick up your favorite newspaper for trader... there are always all sorts of rankings there. It could give you a (wrong or not necessarily true) idea of what you're looking for...

Try unwinding some CFC HL cds at 40% and you'll see that 40% is no longer a consensus. You can also try Rescap, Radian,... recovery will be like 50% or 60%; especially in the market conditions experienced 2 weeks ago and your cds is trading in upfront (also depends on your direction )

<t>I guess your formula is not quite right The numerator should read as change in MTM price of the tranche given a change in ford spread.If you start by looking at papers around you'll find the solution...edit: indeed my mistake: Delta= (change of MTM price of the tranche)/(change in MTM price of Cr...

I have no idea about the MA in Statistics. All I know is that I attended the class of Professor Karatzas and he was the director of the Department of Statistics.

<t>QuoteOriginally posted by: moogleI don't think the reason for the FE not taking MAFN classes is not because of prestige. I think the MAFN classes are much more hardcore mathematically, that's why the FE students do not try to take courses there. Besides, they already have so many courses to choos...

Most of the French students taking a Master degree in the US don't need it for studying purpose: we already studied most of the programs in France but French diplomas are not famous enough So we need a diploma to enter the American Market I agree with Gamanti

<t>Don't get me wrong, I have some doubts that's all. Now I still have some doubts about the fact of getting an Associate position right after school. I am not talking of associate internship Now, your previous internships won't really help you for an associate position. How could you compare a 3 mo...

Don't worry your company won't leave you alone in the dark As said below, trading is a hands-on experience keep trying and keep learning

<t>I am surprised about the salaries mentioned below. Besides, whether you have internships or not, that's not what is going get you an associate position...You graduate from NYU, Columbia, or wherever, you'll be considered as an analyst generally speaking. And thus you might have to lower a bit the...